UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[X] Quarterly report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the period ended March 31, 1998 or
[ ] Transition report pursuant to Section 13 or 15 (d) of the
Securities Exchange Act of 1934
For the transition period from to
Commission File No. 33-42360
DEAN WITTER SELECT FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
Delaware 13-3619290
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification
No.)
c/o Demeter Management Corporation
Two World Trade Center, 62 Fl. New York, NY 10048
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 392-5454
(Former name, former address, and former fiscal year, if changed
since last report)
Indicate by check mark whether the registrant (1) has filed all
reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months
(or for such shorter period that the registrant was required to
file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q
March 31, 1998
<CAPTION>
PART I. FINANCIAL INFORMATION
<S> <C>
Item 1. Financial Statements
Statements of Financial Condition
March 31, 1998 (Unaudited) and December 31, 1997........ 2
Statements of Operations for the Quarters Ended
March 31, 1998 and 1997 (Unaudited)..................... 3
Statements of Changes in Partners' Capital for the
Quarters Ended March 31, 1998 and 1997 (Unaudited)..... 4
Statements of Cash Flows for the Quarters Ended
March 31, 1998 and 1997 (Unaudited).................... 5
Notes to Financial Statements (Unaudited)............ 6-
10
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations.... 11-14
Part II. OTHER INFORMATION
Item 1. Legal Proceedings............................... 15-16
Item 5. Other Information................................ 16-17
Item 6. Exhibits and Reports on Form 8-K.................. 18
</TABLE>
<PAGE>
<TABLE>
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
<CAPTION>
March 31, December 31,
1998 1997
$ $
(Unaudited)
ASSETS
<S> <C> <C>
Equity in Commodity futures trading accounts:
Cash 163,054,824 158,178,925
Net unrealized gain on open contracts 5,177,126 9,627,161
Total Trading Equity 168,231,950 167,806,086
Due from DWR 1,478,409 1,097,517
Interest receivable (DWR) 572,101 638,204
Total Assets 170,282,460 169,541,807
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable 1,920,415 2,272,314
Accrued management fees 425,427 423,673
Accrued administrative expenses 111,499 72,499
Total Liabilities 2,457,341 2,768,486
Partners' Capital
Limited Partners (76,620.501 and
78,674.749 Units, respectively) 164,960,045 163,999,307
General Partner (1,330.767 Units) 2,865,074 2,774,014
Total Partners' Capital 167,825,119 166,773,321
Total Liabilities and Partners' Capital 170,282,460 169,5
41,807
NET ASSET VALUE PER UNIT 2,152.95 2,084.52
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF OPERATIONS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1998 1997
$ $
REVENUES
<S> <C> <C>
Trading profit (loss):
Realized 12,226,184 13,905,911
Net change in unrealized (4,450,035) 3,791,136
Total Trading Results 7,776,149 17,697,047
Interest Income (DWR) 1,744,247 1,785,647
Total Revenues 9,520,396 19,482,694
EXPENSES
Brokerage commissions (DWR) 2,361,769 2,555,607
Management fees 1,274,269 1,350,215
Transaction fees and costs 406,072 294,953
Administrative expenses 39,000 27,000
Incentive fees - 51,799
Total Expenses 4,081,110 4,279,574
NET INCOME 5,439,286 15,203,120
NET INCOME ALLOCATION
Limited Partners 5,348,226 14,962,663
General Partner 91,060
240,457
NET INCOME PER UNIT
Limited Partners
68.43 180.69
General Partner
68.43 180.69
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Quarters Ended March 31, 1998 and 1997
(Unaudited)
<CAPTION>
Units of
Partnership Limited General
Interest Partners Partner Total
<S> <C> <C>
<C> <C>
Partners' Capital,
December 31, 1996 83,463.277 $161,174,820 $2,611,465
$163,786,285
Subscriptions 5,737.467 12,056,614 -
12,056,614
Net Income - 14,962,663 240,457
15,203,120
Redemptions (2,408.973) (5,045,482) -
(5,045,482)
Partners' Capital,
March 31, 1997 86,791.771 $183,148,615 $2,851,922
$186,000,537
Partners' Capital,
December 31, 1997 80,005.516 $163,999,307 $2,774,014
$166,773,321
Net Income - 5,348,226 91,060
5,439,286
Redemptions (2,054.248) (4,387,488) -
(4,387,488)
Partners' Capital,
March 31, 1998 77,951.268 $164,960,045 $2,865,074
$167,825,119
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
<TABLE>
DEAN WITTER SELECT FUTURES FUND L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)
<CAPTION>
For the Quarters Ended March 31,
1998 1997
$ $
CASH FLOWS FROM OPERATING ACTIVITIES
<S> <C> <C>
Net income 5,439,286 1
5,203,120
Noncash item included in net income:
Net change in unrealized 4,450,035 (
3,791,136)
(Increase) decrease in operating assets:
Due from DWR (380,892) (
359,721)
Interest receivable (DWR) 66,103 (
122,805)
Net option premiums - (54,357)
Increase (decrease) in operating liabilities:
Accrued management fees 1,754 65,619
Accrued administrative expenses 39,000 2,460
Incentive fees payable -
(296,660)
Accrued brokerage commissions (DWR)- 205,445
Accrued transaction fees and costs
- - (2,261)
Net cash provided by operating activities 9,615,286 1
0,849,704
CASH FLOWS FROM FINANCING ACTIVITIES
Redemptions of units (4,387,488) (
5,045,482)
Decrease in redemptions payable (351,899) (
1,101,315)
Offering of units - 1
2,056,614
Decrease in subscriptions receivable
- - 5,365,420
Net cash provided by (used for) financing activities (4
,739,387) 11,275,237
Net increase in cash 4,875,899 2
2,124,941
Balance at beginning of period 158,178,925 1
54,784,007
Balance at end of period 163,054,824 1
76,908,948
<FN>
The accompanying footnotes are an integral part
of these financial statements.
</TABLE>
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
The financial statements include, in the opinion of management,
all adjustments necessary for a fair presentation of the results
of operations and financial condition of Dean Witter Select
Futures Fund L.P. (the "Partnership"). The financial statements
and condensed notes herein should be read in conjunction with the
Partnership's December 31, 1997 Annual Report on Form 10-K.
1. Organization
Dean Witter Select Futures Fund L.P. is a limited partnership
organized to engage in the speculative trading of commodity
futures contracts, commodity options contracts and forward
contracts on foreign currencies. The general partner for the
Partnership is Demeter Management Corporation ("Demeter"). The
non-clearing commodity broker is Dean Witter Reynolds Inc.
("DWR"), with an unaffiliated broker, Carr Futures, Inc.
("Carr"), providing clearing and execution services. Both Demeter
and DWR are wholly-owned subsidiaries of Morgan Stanley Dean
Witter & Co. ("MSDW"). Demeter has retained EMC Capital
Management, Inc., Rabar Market Research, Inc. and Sunrise Capital
Management, Inc. as the trading advisors of the Partnership.
2. Related Party Transactions
The Partnership's cash is on deposit with DWR and Carr in
commodity trading accounts to meet margin requirements as needed.
DWR pays interest on these funds based on prevailing U.S.
Treasury
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Bill rates. Brokerage expenses incurred by the Partnership are
paid to DWR.
3. Financial Instruments
The Partnership trades futures, options and forward contracts in
interest rates, stock indices, commodities and currencies.
Futures and forwards represent contracts for delayed delivery of
an instrument at a specified date and price. Risk arises from
changes in the value of these contracts and the potential
inability of counterparties to perform under the terms of the
contracts. There are numerous factors which may significantly
influence the market value of these contracts, including interest
rate volatility. At March 31, 1998 and December 31, 1997, open
contracts were:
Contract or Notional Amount
March 31, 1998 December 31, 1997
$ $
Exchange-Traded Contracts
Financial Futures:
Commitments to Purchase 133,174,000 428,493,000
Commitments to Sell 422,953,000 173,316,000
Commodity Futures:
Commitments to Purchase 44,428,000 23,131,000
Commitments to Sell 70,636,000 135,389,000
Foreign Futures:
Commitments to Purchase 539,766,000 997,389,000
Commitments to Sell 514,421,000 315,676,000
Off-Exchange-Traded
Forward Currency Contracts
Commitments to Purchase 39,373,000 96,671,000
Commitments to Sell 91,866,000 127,065,000
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
A portion of the amounts indicated as off-balance-sheet risk in
forward currency contracts is due to offsetting forward
commitments to purchase and to sell the same currency on the same
date in the future. These commitments are economically
offsetting, but are not offset in the forward market until the
settlement date.
The net unrealized gain on open contracts is reported as a
component of "Equity in Commodity futures trading accounts" on
the Statements of Financial Condition and totaled $5,177,126 and
$9,627,161 at March 31, 1998 and December 31, 1997, respectively.
Of the $5,177,126 net unrealized gain on open contracts at March
31, 1998, $3,663,063 related to exchange-traded futures contracts
and $1,514,063 related to off-exchange-traded forward currency
contracts.
Of the $9,627,161 net unrealized gain on open contracts at
December 31, 1997, $10,514,844 related to exchange-traded futures
contracts and $(887,683) related to off-exchange-traded forward
currency contracts.
Exchange-traded futures contracts held by the Partnership at
March 31, 1998 and December 31, 1997 mature through March 1999
and December 1998, respectively. Off-exchange-traded forward
currency
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
contracts held at March 31, 1998 and December 31, 1997 mature
through June 1998 and March 1998, respectively.
The contract amounts in the above table represent the
Partnership's extent of involvement in the particular class of
financial instrument, but not the credit risk associated with
counterparty nonperformance. The credit risk associated with
these instruments is limited to the amounts reflected in the
Partnership's Statements of Financial Condition.
The Partnership also has credit risk because either DWR or Carr
acts as the futures commission merchant or the counterparty, with
respect to most of the Partnership's assets. Exchange-traded
futures and options contracts are marked to market on a daily
basis, with variations in value settled on a daily basis. DWR
and Carr, as the futures commission merchants for the
Partnership's exchange-traded futures and options contracts, are
required pursuant to regulations of the Commodity Futures Trading
Commission ("CFTC") to segregate from their own assets, and for
the sole benefit of their commodity customers, all funds held by
them with respect to exchange-traded futures and options
contracts, including an amount equal to the net unrealized gain
on all open futures contracts and option contracts, which funds
totaled $166,717,887 and $168,693,769 at March 31, 1998 and
December 31, 1997, respectively. With respect to the
Partnership's
<PAGE>
DEAN WITTER SELECT FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
off-exchange-traded forward currency contracts, there are no
daily settlements of variations in value nor is there any
requirement that an amount equal to the net unrealized gain on
open forward contracts be segregated. With respect to those off-
exchange-traded forward currency contracts, the Partnership is at
risk to the ability of Carr, the sole counterparty on all of such
contracts, to perform. Carr's parent, Credit Agricole Indosuez,
has guaranteed Carr's obligations to the Partnership.
For the quarter ended March 31, 1998 and the year ended December
31, 1997, the average fair value of financial instruments held
for trading purposes was as follows:
March 31, 1998
Assets
Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 326,686,000 240,435
,000
Commodity Futures 26,940,000
95,345,000
Foreign Futures 836,731,000
326,503,000
Off-Exchange-Traded Forward
Currency Contracts 122,127,000
149,039,000
December 31,1997
Assets
Liabilities
$ $
Exchange-Traded Contracts:
Financial Futures 363,272,000 243,761,000
Options on Financial Futures 3,781,000 -
Commodity Futures 95,455,000 76,233,000
Options on Commodity Futures 2,484,000 1,789,000
Foreign Futures 360,391,000 382,135,000
Off-Exchange-Traded Forward
Currency Contracts 41,814,000 40,388,000
<PAGE>
Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
Liquidity - The Partnership's assets are on deposit in separate
commodity interest trading accounts with DWR and Carr, the
commodity brokers, and are used by the Partnership as margin to
engage in commodity futures, forward contracts and other
commodity interest trading. DWR and Carr hold such assets in
either designated depositories or in securities approved by the
CFTC for investment of customer funds. The Partnership's assets
held by DWR and Carr may be used as margin solely for the
Partnership's trading. Since the Partnership's sole purpose is
to trade in commodity futures contracts and other commodity
interests, it is expected that the Partnership will continue to
own such liquid assets for margin purposes.
The Partnership's investment in commodity futures contracts,
forward contracts and other commodity interests may be illiquid.
If the price for a futures contract for a particular commodity
has increased or decreased by an amount equal to the "daily
limit", positions in the commodity can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Commodity futures prices have occasionally
moved the daily limit for several consecutive days with little or
no trading. Such market conditions could prevent the Partnership
from promptly liquidating its commodity futures positions.
There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
<PAGE>
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets and subjecting it to
substantial losses. Either of these market conditions could
result in restrictions on redemptions.
Capital Resources. The Partnership does not have, nor does it
expect to have, any capital assets. Redemptions of additional
Units of Limited Partnership Interest ("Units") in the future
will affect the amount of funds available for investments in
subsequent periods. As redemptions are at the discretion of
Limited Partners, it is not possible to estimate the amount and
therefore, the impact of future redemptions.
Results of Operations
For the Quarter Ended March 31, 1998
For the quarter ended March 31, 1998, the Partnership's total
trading revenues including interest income were $9,520,396.
During the first quarter, the Partnership posted a gain in Net
Asset Value per Unit. The most significant gains were recorded
in the financial futures markets due primarily to an upward trend
in U.S. and European stock index futures during February and
March. Smaller profits were recorded in European interest rate
futures from long positions in German, French and Italian bond
futures as prices in these markets moved higher during January
and February. In energies, gains were recorded during January and
February from short positions in crude and heating oil futures as
oil prices
<PAGE>
declined. In soft commodities, gains recorded from short sugar
futures positions, as prices declined during January and
February, more than offset losses recorded from short cotton
futures positions throughout the quarter. In the agricultural
markets, gains were recorded from short positions in soybean meal
futures as prices moved lower during February and March. A
portion of the Partnership's overall gains for the first quarter
was offset by losses recorded in the metals markets from trading
silver and gold futures as precious metals prices moved in a
choppy pattern throughout a majority of the quarter. Smaller
losses were recorded in the currency markets from transactions
involving the British pound, Australian dollar and Japanese yen.
Total expenses for the period were $4,081,110, resulting in net
income of $5,439,286. The value of an individual Unit in the
Partnership increased from $2,084.52 at December 31, 1997 to
$2,152.95 at March 31, 1998.
For the Quarter Ended March 31, 1997
For the quarter ended March 31, 1997, the Partnership's total
trading revenues including interest income were $19,482,694.
During the first quarter, the Partnership posted a gain in Net
Asset Value per Unit. The most significant gains were recorded
in the currency markets as the value of the U.S. dollar
strengthened relative to most major European currencies and the
Japanese yen during January and February. As a result, profits
were recorded from short Swiss franc, German mark and Japanese
yen positions. Gains were also recorded in soft commodities from
long coffee futures positions as prices in this market trended
steadily higher during January and February. Additional gains
were recorded in
<PAGE>
the agricultural markets as long positions in soybean and corn
futures profited from an upward price trend during February and
March. In financial futures trading, profits were recorded as
gains in global stock index futures more than offset losses from
trendless price movement in Japanese and European interest rate
futures. Smaller gains were recorded in metals from short gold
futures positions, as prices trended lower during January, and
from long positions in zinc futures, as prices in this market
moved higher during the quarter. A portion of the Partnership's
overall gains for the quarter was offset by losses in the energy
markets during January and March as prices moved in a short-term
volatile pattern. Total expenses for the period were $4,279,574,
resulting in net income of $15,203,120. The value of an
individual Unit in the Partnership increased from $1,962.38 at
December 31, 1996 to $2,143.07 at March 31, 1997.
<PAGE>
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
On September 6, 10, and 20, 1996, and on March 13, 1997, similar
purported class actions were filed in the Superior Court of the
State of California, County of Los Angeles, on behalf of all
purchasers of interests in limited partnership commodity pools
sold by DWR. Named defendants include DWR, Demeter, Dean Witter
Futures & Currency Management Inc., ("DWFCM"), MSDW, (all such
parties referred to hereafter as the "Dean Witter Parties"), the
Partnership, certain other limited partnership commodity pools of
which Demeter is the general partner, and certain trading
advisors to those pools. On June 16, 1997, the plaintiffs in the
above actions filed a consolidated amended complaint, alleging,
among other things, that the defendants committed fraud, deceit,
negligent misrepresentation, various violations of the California
Corporations Code, intentional and negligent breach of fiduciary
duty, fraudulent and unfair business practices, unjust
enrichment, and conversion in the sale and operation of the
various limited partnership commodity pools. Similar purported
class actions were also filed on September 18 and 20, 1996, in
the Supreme Court of the State of New York, New York County, and
on November 14, 1996 in the Superior Court of the State of
Delaware, New Castle County, against the Dean Witter Parties and
certain trading advisors on behalf of all purchasers of interests
in various limited partnership commodity pools, including the
Partnership, sold by DWR. A consolidated and amended complaint in
the action pending in the Supreme Court of the State of New York
was filed on August 13, 1997, alleging that the defendants
<PAGE>
committed fraud, breach of fiduciary duty, and negligent
misrepresentation in the sale and operation of the various
limited partnership commodity pools. On December 16, 1997, upon
motion of the plaintiffs, the action pending in the Superior
Court of the State of Delaware was voluntarily dismissed without
prejudice. The complaints seek unspecified amounts of
compensatory and punitive damages and other relief. It is
possible that additional similar actions may be filed and that,
in the course of these actions, other parties could be added as
defendants. The Dean Witter Parties believe that they and the
Partnership have strong defenses to, and they will vigorously
contest, the actions. Although the ultimate outcome of legal
proceedings cannot be predicted with certainty, it is the opinion
of management of the Dean Witter Parties that the resolution of
the actions will not have a material adverse effect on the
financial condition or the results of operations of any of the
Dean Witter Parties or the Partnership.
Item 5. OTHER INFORMATION
On March 12, 1998, the Partnership filed a registration statement
with the Securities and Exchange Commission (Registration No. 333-
47829) to register 1,500,000 additional Units for sale (the
"Offering") and to include the Partnership as part of the
"Spectrum Series" of open-ended funds, for which Demeter also
serves as general partner. On April 20, 1998, the Partnership
changed its name from Dean Witter Select Futures Fund L.P. to
Dean Witter Spectrum Select L.P. and will subsequently convert
each outstanding Unit of the Partnership into 100 Units. In
addition,
<PAGE>
effective as of the first monthly closing of the Offering, both
the incentive fee and the brokerage fees charged to the fund will
be revised. The incentive fee payable to each trading advisor
will be revised to 15% of "Trading Profits", as defined in the
Prospectus, and will be payable on a monthly basis. Brokerage
fees of the Partnership will be charged at a flat monthly rate of
1/12 of 7.25% of Net Assets as of the first day of each month,
and such fees will cover all brokerage commissions, transaction
fees and costs and ordinary administrative and continuing
offering expenses.
<PAGE>
Item 6. Exhibits and Reports on Form 8-K
(A) Exhibits - None.
(B) Reports on Form 8-K. - None.
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of
1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
Dean Witter Select Futures Fund
L.P. (Registrant)
By: Demeter Management Corporation
(General Partner)
May 11, 1998 By: /s/ Patti L. Behnke
Patti L. Behnke
Chief Financial Officer
The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no
principal executive officer, principal financial officer,
controller, or principal accounting officer and has no Board of
Directors.
<TABLE> <S> <C>
<ARTICLE> 5
<LEGEND>
The schedule contains summary financial information extracted from Dean
Witter Select Futures Fund L.P. and is qualified in its entirety by
reference to such financial instruments.
</LEGEND>
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> MAR-31-1998
<PERIOD-END> MAR-31-1998
<CASH> 163,054,824
<SECURITIES> 0
<RECEIVABLES> 2,050,510<F1>
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 170,282,460<F2>
<CURRENT-LIABILITIES> 0
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 0
<TOTAL-LIABILITY-AND-EQUITY> 170,282,460<F3>
<SALES> 0
<TOTAL-REVENUES> 9,520,396<F4>
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 4,081,110
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 5,439,286
<INCOME-TAX> 0
<INCOME-CONTINUING> 5,439,286
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 5,439,286
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
<FN>
<F1>Receivables include interest receivable of $572,101 and due from DWR
of $1,478,409.
<F2>In addition to cash and receivables, total assets include net unrealized
gain on open contracts of $5,177,126.
<F3>Liabilities include redemptions payable of $1,920,415, accrued management
fees of $425,427 and accrued administrative expenses of $111,499.
<F4>Total revenue includes realized trading revenue of $12,226,184, net
change in unrealized of $(4,450,035) and interest income of $1,744,247.
</FN>
</TABLE>
